Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0097 |
| Annualized Std Dev | 0.0750 |
| Annualized Sharpe (Rf=0%) | 0.1287 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3369.0000 |
| NAs | 1.0000 |
| Minimum | -0.0480 |
| Quartile 1 | -0.0012 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0014 |
| Maximum | 0.0544 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0047 |
| Skewness | -0.0465 |
| Kurtosis | 28.2157 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0034 |
| Gain Deviation | 0.0039 |
| Loss Deviation | 0.0043 |
| Downside Deviation (MAR=210%) | 0.0094 |
| Downside Deviation (Rf=0%) | 0.0034 |
| Downside Deviation (0%) | 0.0034 |
| Maximum Drawdown | 0.1315 |
| Historical VaR (95%) | -0.0056 |
| Historical ES (95%) | -0.0117 |
| Modified VaR (95%) | -0.0051 |
| Modified ES (95%) | -0.0051 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-28 | 2020-03-23 | 2021-02-03 | -0.1315 | 236 | 17 | 219 |
| 2008-01-24 | 2008-12-11 | 2009-03-02 | -0.1278 | 271 | 218 | 53 |
| 2012-11-30 | 2013-09-05 | 2016-06-24 | -0.1219 | 897 | 191 | 706 |
| 2009-03-31 | 2011-01-13 | 2012-01-13 | -0.0992 | 698 | 446 | 252 |
| 2016-06-29 | 2018-11-02 | 2019-08-15 | -0.0735 | 788 | 593 | 195 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 | 0.1 | 0.3 | 0.9 |
| 2008 | -0.6 | -2.7 | 0.3 | 0.2 | -0.6 | 0.3 | 0 | 0 | -0.9 | -0.7 | -0.1 | 2.6 | -2.3 |
| 2009 | 0.2 | 0.1 | -4 | -0.9 | -1.6 | 0 | -0.1 | -0.1 | 1.1 | 0 | -1.5 | -0.1 | -6.7 |
| 2010 | -0.1 | -0.2 | -0.6 | 0.5 | 0.2 | -0.1 | 0 | -0.7 | -0.4 | -0.7 | 0 | -0.1 | -2.2 |
| 2011 | -0.2 | -0.6 | -0.2 | 0.3 | 0.1 | -0.5 | -0.6 | -0.2 | 0 | -0.3 | -0.4 | 0.6 | -2 |
| 2012 | -0.2 | -0.2 | -0.1 | -0.2 | -0.1 | -0.1 | -0.6 | 0 | -0.2 | -0.3 | -0.1 | -0.2 | -2.3 |
| 2013 | 0.2 | -0.3 | -0.4 | -0.2 | -0.2 | -0.2 | 0.5 | 0 | -0.4 | -0.5 | 0.4 | 0 | -1.2 |
| 2014 | -0.1 | 0.2 | 0.2 | -0.2 | -0.1 | -0.2 | -0.3 | 0.1 | 0 | -0.3 | -0.2 | 0.1 | -0.8 |
| 2015 | 0.4 | 0.3 | -0.2 | -0.4 | -0.4 | -0.2 | 0.1 | 0 | -0.1 | 0.2 | -0.1 | 0.2 | -0.1 |
| 2016 | -0.1 | -0.4 | -0.2 | 0 | -0.1 | -0.1 | -0.3 | -0.2 | -0.1 | -0.2 | -0.7 | -0.1 | -2.4 |
| 2017 | -0.3 | -0.4 | 0 | -0.2 | -0.2 | 0 | -0.3 | -0.3 | 0 | -0.2 | 0.1 | 0.1 | -1.7 |
| 2018 | -0.5 | 0 | 0 | -0.1 | -0.4 | 0.1 | -0.5 | 0.1 | -0.4 | -0.3 | 0.1 | 0 | -1.8 |
| 2019 | -0.3 | -0.2 | -0.2 | -0.1 | 0.1 | -0.2 | -0.1 | 0 | -0.1 | -0.1 | 0 | -0.1 | -1.3 |
| 2020 | 0.3 | -0.3 | -3.1 | 0 | 0 | -0.1 | 0 | -0.3 | -0.1 | 0.1 | -0.1 | 0 | -3.8 |
| 2021 | 0.1 | -0.3 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-10-05 50.7 SPY 156. 0.0119 0.0214 0.0521 0.0186 0.155 0.368 0.894 GLD 73.4 0.0073 -0.0015
2 2007-10-08 50.6 SPY 155. -0.0053 0.0047 0.0613 0.0272 0.147 0.352 0.919 GLD 72.5 -0.0119 -0.0185
3 2007-10-09 50.8 SPY 156. 0.0094 0.0155 0.0733 0.0295 0.159 0.379 0.978 GLD 73.1 0.0077 0.0102
4 2007-10-10 50.8 SPY 156. -0.0017 0.0159 0.0592 0.0119 0.156 0.388 0.944 GLD 73.4 0.0037 0.0203
5 2007-10-11 50.7 SPY 155. -0.00480 0.0094 0.0514 0.004 0.149 0.376 0.991 GLD 73.9 0.0075 0.0143
6 2007-10-12 50.7 SPY 156. 0.0055 0.0031 0.0498 0.0097 0.157 0.389 0.939 GLD 74.6 0.0092 0.0162
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
